Liu
2020-08-16 21:51there is a question and hope you can explain. Consider a trader with an investment in a corporate bond with face value of $100,000 and default of 0.5%. Over the next period, we can either have no default, with a return of zeroor default with a loss of $100,000. The payoffs are thus -$100,000 with probability of 0.5% and $0 with a probability of 99.5%. Since the probability of getting %0 is greater than 99%, the VaR at the 99% confidence level is $0 without taking the mean into account. This is consistent with the definition that VaR is the smallest loss, such that the right tail probability is at least 99%. Now consider a portfolio invested in 3 bonds A,B and C with same characters and independent payoffs. The portfolio var at the 99% is A 0. B. $100,000 C. $200,000 D. 300,000. Why the answer is B ? 1. the information already tells us that 99% VaR is $0. So why not $0? 2. as they are independent and undiversified, why not $100,000 ＋ $100,000 ＋100,000 = $300,000?
所屬：FRM Part II 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Crystal助教
2020-08-17 10:13
該回答已被題主采納
1.因為var是不滿足次可加性的。
2.你的這種計算方式是三個債券同時違約的情況。這個概率是(0.5%)^3,沒有達到1%。
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追問
So please show me the formula to show how to calculate the answer
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